Valuation of ASA: financial instruments with a negative fair value

Commission Delegated Regulation (EU) 2022/25 specifies the methods for measuring the K-factors. Specifically, Article 5 of the Delegated regulation deals with the calculation of the ASA, as defined in Article 4(1)(29) of the IFR, but no detail is provided for assets safeguarded and administered with negative value.   Nonetheless, taking into account the explicit treatment of AUM under the same Delegated regulation, and the risks to clients associated to the two K-factors, the securities with negative fair value should be included in the ASA calculation in the same manner as for assets included in the AUM calculation.   Therefore, for instruments with negative fair value, the calculation of ASA for the purposes of Article 19 of the IFR should be performed as follows: the ASA should be the sum of the assets with positive fair value and the absolute value of the assets with negative fair value.   Example: ASA is composed of four assets with fair values equal to +10, -15, +25 and -50. The sum of the values, taking the negative values at their absolute values, is 100. The ASA, for the purposes of Article 19 of the IFR, is therefore equal to 100.